Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

  • Authors:
  • Leif Andersen;Mark Broadie

  • Affiliations:
  • Banc of America Securities LLC, 9 West 57th Street, New York, New York 10019;Graduate School of Business, Columbia University, 3022 Broadway, New York, New York 10027-6902

  • Venue:
  • Management Science
  • Year:
  • 2004

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Abstract

This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. ...